Two-dimensional Shannon wavelet inverse Fourier technique for pricing European options (Q2397063): Difference between revisions

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-Cornelis W. Oosterlee
@@ Property / author: Cornelis W. Oosterlee / rank @@
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+Gemma Colldeforns-Papiol
@@ Property / author: Gemma Colldeforns-Papiol / rank @@
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+Cornelis W. Oosterlee
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+Ten Lectures on Wavelets
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@@ Property / cites work @@
+A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions
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+Efficient Option Pricing by Frame Duality with the Fast Fourier Transform
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+Q3634482
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+Pricing early-exercise and discrete barrier options by Shannon wavelet expansions
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+Q4283391
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+Robust Pricing of European Options with Wavelets and the Characteristic Function
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+A Highly Efficient Shannon Wavelet Inverse Fourier Technique for Pricing European Options
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+Two-Dimensional Fourier Cosine Series Expansion Method for Pricing Financial Options
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+Q3064121
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+BENCHOP – The BENCHmarking project in option pricing
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+Publication:2397063